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Autor
Karaś Marta (Uniwersytet Ekonomiczny we Wrocławiu), Stachura Michał (Uniwersytet Jana Kochanowskiego w Kielcach)
Tytuł
Modelowanie efektu zarażania ryzykiem systemowym w wybranych systemach bankowych w Europie
Modelling the Effect of Systemic Risk Contagion in Selected Banking Systems in Europe
Źródło
Bezpieczny Bank, 2023, nr 3 (92), s. 25-51, tab., rys., aneks, bibliogr. s. 46-49
Słowa kluczowe
Ryzyko systemowe, Sektor bankowy, System bankowy
Systemic risk, Banking sector, Banking system
Uwagi
Klasyfikacja JEL: G32, C58, E44
streszcz., summ.
Abstrakt
Zarażanie jest elementem ryzyka systemowego, którego pomiar stanowi szczególne wyzwanie w europejskim sektorze bankowym głównie w związku z dostępnością informacji i danych oraz specyfiką powiązań kapitałowych banków matek i ich podmiotów zależnych. Artykuł przedstawia nowe ujęcie pomiaru efektu zarażania generowanego nie tylko przez banki notowane na giełdzie, ale też przez nienotowane, ale systemowo ważne banki własnościowo powiązane z notowanymi systemowo ważnymi bankami europejskimi. Autorskie ujęcie pomiaru jest zilustrowane badaniem empirycznym z zastosowaniem miary ACoVaR dla 58 banków w okresie od stycznia 2006 r. do kwietnia 2023 r., w którym przeanalizowano zarażanie dla 13 grup powiązanych banków. Proponowana metoda pozwala istotnie powiększyć pulę systemowo ważnych banków, które można objąć analizą, a zastosowana uwzględnia w pomiarze zarówno aspekty ryzyka systemowego charakterystyczne dla banku głównego, jak i banków powiązanych oraz specyfikę turbulencji, charakterystyczną dla analizowanych systemów krajowych. Metoda stanowi zatem dobrą alternatywę dla regulatorów i banków centralnych wielu krajów europejskich, gdzie zastosowanie miary CoVaR w ujęciu klasycznym nie jest w pełni wystarczające. (abstrakt oryginalny)

Systemic contagion measurement is challenging in the European banking sector due to data availability issues and the specific nature of strong ownership ties between parent institutions and their subsidiaries. The paper presents a new approach that allows measuring the contagion effect generated by non-listed systemically important European banks based on their ties with listed - systemically important European banks. This approach is illustrated by an empirical study applying ACoVaRto 58 banks in the period 01.2006-04.2023, in which contagion was analyzed for 13 groups of related banks. The proposed approach makes it possible to significantly increase the pool of studied systemically important banks. Notably, it takes into account systemic risk characteristic of both: the mother bank and its subsidiaries, as well as the specificity of turbulence characteristic of each analyzed financial system. Therefore, the method is a useful alternative for regulators and central banks in European countries where using the CoVaR measure - in its classical form, is ineffective. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
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Bibliografia
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ISSN
1429-2939
Język
pol
URI / DOI
http://dx.doi.org/10.26354/bb.2.3.92.2023
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